Multiple stochastic integrals with Mathematica

DOI10.1016/J.MATCOM.2008.08.005MaRDI QIDQ1005208zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 9 March 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.08.005

zbMATH Keywords

expectationMathematicamultiple Itô integralsmultiple stochastic integralsmultiple Stratonovich integralsstochastic differential equations

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Symbolic computation and algebraic computation (68W30)

Recommendations

• On the Expectations of Multiple Stratonovich Integrals
• Colored-noise-like multiple Itô stochastic integrals: algorithms and numerics
• scientific article; zbMATH DE number 7038846
• Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes
• Multiple Itô and Stratonovich stochastic integrals: Fourier-Legendre and trigonometric expansions, approximations, formulas

Cites work

• A basis for iterated stochastic integrals
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3839062 (Why is no real title available?)
• scientific article; zbMATH DE number 1292563 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• Relations between multiple ito and stratonovich integrals
• The approximation of multiple stochastic integrals

Cited in

(8)

• Symbolic operators for multiple sums
• A family of Chaplygin-type solvers for Itô stochastic differential equations
• Simplified order 4.0 weak Taylor schemes for additive noise
• Colored-noise-like multiple Itô stochastic integrals: algorithms and numerics
• On the Expectations of Multiple Stratonovich Integrals
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions
• On relation between one multiple and a corresponding one-dimensional integral with applications
• Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations

Describes a project that uses

Uses Software

• Mathematica

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